Download or read book Recent Developments In Mathematical Finance Proceedings Of The International Conference On Mathematical Finance written by Jiongmin Yong and published by World Scientific. This book was released on 2001-12-28 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.
Download or read book Recent Developments in Mathematical Finance written by Jiongmin Yong and published by World Scientific. This book was released on 2002 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance. Contents: Intensity-Based Valuation of Basket Credit Derivatives (T R Bielecki & M Rutkowski); Comonotonicity of Backward Stochastic Differential Equations (Z Chen & X Wang); Some Lookback Option Pricing Problems (X Guo); Optimal Investment and Consumption with Fixed and Proportional Transaction Costs (H Liu); Filtration Consistent Nonlinear Expectations (F Coquet et al.); A Theory of Volatility (A Savine); Discrete Time Markets with Transaction Costs (L Stettner); Options on Dividend Paying Stocks (R Beneder & T Vorst); Risk: From Insurance to Finance (H Yang); Arbitrage Pricing Systems in a Market Driven by an It Process (S Luo et al.); and other papers. Readership: Graduate students and researchers in mathematical finance and economics.
Download or read book Risk sensitive Investment Management written by Mark H A Davis and published by World Scientific. This book was released on 2014-07-21 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes.With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management.This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful.
Download or read book Modern Computational Finance written by Antoine Savine and published by John Wiley & Sons. This book was released on 2018-11-20 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware. AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance. Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software. This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates. The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.
Download or read book Recent Developments in Mathematical Statistical and Computational Sciences written by D. Marc Kilgour and published by Springer. This book was released on 2022-08-31 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes an up-to-date account of principles, methods, and tools for mathematical and statistical modelling in a wide range of research fields, including medicine, health sciences, biology, environmental science, engineering, physics, chemistry, computation, finance, economics, and social sciences. It presents original solutions to real-world problems, emphasizes the coordinated development of theories and applications, and promotes interdisciplinary collaboration among mathematicians, statisticians, and researchers in other disciplines. Based on a highly successful meeting, the International Conference on Applied Mathematics, Modeling and Computational Science, AMMCS 2019, held from August 18 to 23, 2019, on the main campus of Wilfrid Laurier University, Waterloo, Canada, the contributions are the results of submissions from the conference participants. They provide readers with a broader view of the methods, ideas and tools used in mathematical, statistical and computational sciences.
Download or read book Stochastic Methods in Finance written by Kerry Back and published by Springer. This book was released on 2004-11-13 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and stochastic control, stochastic differential equations, convex analysis and duality theory. Five topics are treated in detail: Utility maximization in incomplete markets; the theory of nonlinear expectations and its relationship with the theory of risk measures in a dynamic setting; credit risk modelling; the interplay between finance and insurance; incomplete information in the context of economic equilibrium and insider trading.
Download or read book Stochastic Processes And Applications To Mathematical Finance Proceedings Of The 6th Ritsumeikan International Conference written by Jiro Akahori and published by World Scientific. This book was released on 2007-04-04 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the contributions to a conference that is among the most important meetings in financial mathematics. Serving as a bridge between probabilists in Japan (called the Ito School and known for its highly sophisticated mathematics) and mathematical finance and financial engineering, the conference elicits the very highest quality papers in the field of financial mathematics.
Download or read book Recent Developments in Data Science and Business Analytics written by Madjid Tavana and published by Springer. This book was released on 2018-03-27 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume is brought out from the contributions of the research papers presented in the International Conference on Data Science and Business Analytics (ICDSBA- 2017), which was held during September 23-25 2017 in ChangSha, China. As we all know, the field of data science and business analytics is emerging at the intersection of the fields of mathematics, statistics, operations research, information systems, computer science and engineering. Data science and business analytics is an interdisciplinary field about processes and systems to extract knowledge or insights from data. Data science and business analytics employ techniques and theories drawn from many fields including signal processing, probability models, machine learning, statistical learning, data mining, database, data engineering, pattern recognition, visualization, descriptive analytics, predictive analytics, prescriptive analytics, uncertainty modeling, big data, data warehousing, data compression, computer programming, business intelligence, computational intelligence, and high performance computing among others. The volume contains 55 contributions from diverse areas of Data Science and Business Analytics, which has been categorized into five sections, namely: i) Marketing and Supply Chain Analytics; ii) Logistics and Operations Analytics; iii) Financial Analytics. iv) Predictive Modeling and Data Analytics; v) Communications and Information Systems Analytics. The readers shall not only receive the theoretical knowledge about this upcoming area but also cutting edge applications of this domains.
Download or read book Advanced Modelling in Mathematical Finance written by Jan Kallsen and published by Springer. This book was released on 2016-12-01 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.
Download or read book New Trends in the Applications of Differential Equations in Sciences written by Angela Slavova and published by Springer Nature. This book was released on 2023-03-17 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book convenes peer-reviewed, selected papers presented at the Ninth International Conference New Trends in the Applications of Differential Equations in Sciences (NTADES) held in Sozopol, Bulgaria, June 17–20, 2022. The works are devoted to many applications of differential equations in different fields of science. A number of phenomena in nature (physics, chemistry, biology) and in society (economics) result in problems leading to the study of linear and nonlinear differential equations, stochastic equations, statistics, analysis, numerical analysis, optimization, and more. The main topics are presented in the five parts of the book - applications in mathematical physics, mathematical biology, financial mathematics, neuroscience, and fractional analysis. In this volume, the reader will find a wide range of problems concerning recent achievements in both theoretical and applied mathematics. The main goal is to promote the exchange of new ideas and research between scientists, who develop and study differential equations, and researchers, who apply them for solving real-life problems. The book promotes basic research in mathematics leading to new methods and techniques useful for applications of differential equations. The NTADES 2022 conference was organized in cooperation with the Society of Industrial and Applied Mathematics (SIAM), the major international organization for Industrial and Applied Mathematics and for the promotion of interdisciplinary collaboration between applied mathematics and science, engineering, finance, and neuroscience.
Download or read book Recent Advances in Mathematical and Statistical Methods written by D. Marc Kilgour and published by Springer. This book was released on 2018-11-04 with total page 622 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the recent development of methodologies and computation methods in mathematical and statistical modelling, computational science and applied mathematics. It emphasizes the development of theories and applications, and promotes interdisciplinary endeavour among mathematicians, statisticians, scientists, engineers and researchers from other disciplines. The book provides ideas, methods and tools in mathematical and statistical modelling that have been developed for a wide range of research fields, including medical, health sciences, biology, environmental science, engineering, physics and chemistry, finance, economics and social sciences. It presents original results addressing real-world problems. The contributions are products of a highly successful meeting held in August 2017 on the main campus of Wilfrid Laurier University, in Waterloo, Canada, the International Conference on Applied Mathematics, Modeling and Computational Science (AMMCS-2017). They make this book a valuable resource for readers interested not only in a broader overview of the methods, ideas and tools in mathematical and statistical approaches, but also in how they can attain valuable insights into problems arising in other disciplines.
Download or read book Advances in High Performance Computing written by Ivan Dimov and published by Springer Nature. This book was released on 2020-08-07 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Every day we need to solve large problems for which supercomputers are needed. High performance computing (HPC) is a paradigm that allows to efficiently implement large-scale computational tasks on powerful supercomputers unthinkable without optimization. We try to minimize our effort and to maximize the achieved profit. Many challenging real world problems arising in engineering, economics, medicine and other areas can be formulated as large-scale computational tasks. The volume is a comprehensive collection of extended contributions from the High performance computing conference held in Borovets, Bulgaria, September 2019. This book presents recent advances in high performance computing. The topics of interest included into this volume are: HP software tools, Parallel Algorithms and Scalability, HPC in Big Data analytics, Modelling, Simulation & Optimization in a Data Rich Environment, Advanced numerical methods for HPC, Hybrid parallel or distributed algorithms. The volume is focused on important large-scale applications like Environmental and Climate Modeling, Computational Chemistry and Heuristic Algorithms.
Download or read book Index of Conference Proceedings written by British Library. Document Supply Centre and published by . This book was released on 2003 with total page 870 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Reviews written by and published by . This book was released on 2008 with total page 994 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Generalized Integral Transforms In Mathematical Finance written by Andrey Itkin and published by World Scientific. This book was released on 2021-10-12 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes several techniques, first invented in physics for solving problems of heat and mass transfer, and applies them to various problems of mathematical finance defined in domains with moving boundaries. These problems include: (a) semi-closed form pricing of options in the one-factor models with time-dependent barriers (Bachelier, Hull-White, CIR, CEV); (b) analyzing an interconnected banking system in the structural credit risk model with default contagion; (c) finding first hitting time density for a reducible diffusion process; (d) describing the exercise boundary of American options; (e) calculating default boundary for the structured default problem; (f) deriving a semi-closed form solution for optimal mean-reverting trading strategies; to mention but some.The main methods used in this book are generalized integral transforms and heat potentials. To find a semi-closed form solution, we need to solve a linear or nonlinear Volterra equation of the second kind and then represent the option price as a one-dimensional integral. Our analysis shows that these methods are computationally more efficient than the corresponding finite-difference methods for the backward or forward Kolmogorov PDEs (partial differential equations) while providing better accuracy and stability.We extend a large number of known results by either providing solutions on complementary or extended domains where the solution is not known yet or modifying these techniques and applying them to new types of equations, such as the Bessel process. The book contains several novel results broadly applicable in physics, mathematics, and engineering.
Download or read book Books In Print 2004 2005 written by Ed Bowker Staff and published by R. R. Bowker. This book was released on 2004 with total page 3274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Economic Theory written by Karl Shell and published by . This book was released on 1996 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt:
